activity
20072023
most citedThe rate of convergence of Euler approximations for solutions of stochastic differential equations driven by fractional Brownian motion

85 citations · 361 across the 34 of their papers we have counts for

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Showing 2015Show all

3 papers · 1 filter

math.PR2015★ 2 cited

Convergence of hitting times for jump-diffusion processes

Georgiy Shevchenko

We investigate the convergence of hitting times for jump-diffusion processes. Specifically, we study a sequence of stochastic differential equations with jumps. Under reasonable as…

math.PR2015★ 1 cited

Integral representation with respect to fractional Brownian motion under a log-Hölder assumption

Taras Shalaiko, Georgiy Shevchenko

We show that if a random variable is the final value of an adapted log-Hölder continuous process, then it can be represented as a stochastic integral with respect to a fractional B…

math.PR2015

Small ball properties and representation results

Yuliya Mishura, Georgiy Shevchenko

We show that small ball estimates together with Holder continuity assumption allow to obtain new representation results in models with long memory. In order to apply these results,…